How Does the Market Value Toxic Assets?
研究了市场如何为最毒的资产：债务抵押债券（CDO）的权益层定价，发现其回报与股票尤其是金融股高度相关，近三分之二的变动可由基本面解释。
Abstract How does the market value “toxic” structured-credit securities? We study the valuation of what is possibly the most toxic of all toxic assets: the equity tranche of a collateralized debt obligation (CDO). In theory, CDO equity should be similar in nature to bank stock since both represent residual claims on a portfolio of loans. We find CDO equity returns are much more related to stock returns than to fixed-income returns. CDO equity returns track the returns of financial stocks much more closely than any other industry. Nearly two-thirds of the variation in CDO returns can be explained by fundamentals.